Conference proceedings

Proximity Of Barrier Option Prices In Discrete And Continuous Time

Year:

2009

Published in:

5th Conference in Actuarial Science and Finance on Samos
barrier options
path-dependent options
knock-in and knock-out
pricing methods
convergence rate

We estimate the difference between barrier option prices in a continuous time market model and in a discrete time binomial market model. As an auxilliary result, we estimate the difference between barrier option prices in a continuous time market and in a discrete time Gaussian market.

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